Anywhere But Here is an eight-page story published on Dark Horse's MySpace page.
The story takes place 13 years ago, during the group's teenage years. The Monocle is giving a long and boring speech to Diego and Vanya (The Kraken and The White Violin) who are in a punk rock band called Prime-8's, in which Vanya plays the guitar, Diego plays the bass guitar and an ape called "Body" plays the drums. The Monocle dislikes the band's music and the name of their debut album "I Don't Wanna Kill The President" saying that this gives The Academy bad publicity. He gives Vanya a plane ticket to Paris, where she is supposed to study "real" music (classical), however he is simply trying to separate Vanya from Diego. In his room, Diego convinces Vanya to play one last gig that night at a bar, and then with the money they would earn, they could run away from the Umbrella Academy to tour with the band. They agree to meet at the gig that night. At the bar, people are screaming to hear the Prime 8's, but Diego hasn't shown up yet. The owner of the bar demands to see the band playing at that moment or he'll send another band on, so Body decides to finish the band and say goodbye to Vanya. Vanya, upset at being let down by Diego, is walking down the street and passes by a shop selling TVs. News is shown about a gang arrested by The Umbrella Academy, which they did with the help of Diego. Vanya walks away and gets into a taxi. The driver asks, "Going somewhere important?" Vanya answers, "Yeah, anywhere but here."